Risk Management of Correlation Products

James M. Mahoney

European Financial Management, 1997, vol. 3, issue 2, 155-174

Abstract: Trading units within the banking and dealer community that trade exotic instruments are well aware of the hazards of using traditional tools in analysing the risks resulting from positions taken in their specialised markets. The global risk management systems within these organisations have been slower to recognise the new risk profiles created by more recently traded exotic instruments. For traditional risks that are separable, the evaluation of risk at the individual trading units and the subsequent aggregation of risk across trading units captures the risks inherent in the portfolio. However, with non‐traditional, non‐separable risks, this division (by trading unit) and subsequent aggregation (by risk managers) of risks may obscure an increasing amount of risk found in the firm's trading operation.

Date: 1997
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://doi.org/10.1111/1468-036X.00037

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:eufman:v:3:y:1997:i:2:p:155-174

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1354-7798

Access Statistics for this article

European Financial Management is currently edited by John Doukas

More articles in European Financial Management from European Financial Management Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().